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Finding Historical Extremes in US Stock Performance

Article Quant Q&A · Author: DisinfectedDuck
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Summary

The document asks how to identify the best- and worst-performing US stocks on a historical date, using percentage change as the ranking measure. The replies suggest sorting S&P 500 constituents by daily change with a market-data site or using Bloomberg’s equity screening function to filter and export results.

A more programmable route is to retrieve time series for a chosen stock universe, calculate returns for the target date, and select the maximum and minimum. This approach allows the researcher to define the date range and universe, but requires data access and some coding. The suggestions do not establish comprehensive coverage of all US stocks, explain treatment of delisted securities or corporate actions, or verify that the mentioned services retain historical constituents and daily rankings.

Key ideas

  • Rank stocks by percentage change on the date being studied to find performance extremes.
  • A screening tool can filter and export equity performance results.
  • With time-series data, calculate returns for the selected universe and retrieve the maximum and minimum.
  • Historical rankings depend on the chosen universe and the coverage and quality of the data source.

Tags

EquitiesUS marketsStatistics
Full text
# Where can I find the best and worst performing US stocks on a given date?


# Where can I find the best and worst performing US stocks on a given date?












I'm interested in researching the effects of a stock ranking at extremes on a certain date, and was wondering if anyone can help me find a tool/site which allows to easily retrieve the best/worst performing stock on a given (historical) date. I'm interested in US stocks and the performance criteria should be % change.

## Answer by emcor (score 0)

https://quant.stackexchange.com/a/22071

This links shows the S&P500 stocks. You can sort them by clicking on the column "change": http://www.barchart.com/stocks/sp500.php

## Answer by owner (score 0)

https://quant.stackexchange.com/a/22087

Quickest way : Have a look at Bloomberg `EQS` (Equity Screening) function:

1 - Type `EQS` and hit `GO`.

2 - Add criteria under section, `Screening Criteria`; select More Options to view all screening criteria. Hoping you find or define your Performance criteria there;

3 - Click `Results` located in right corner of screen.

4 - Click `Output` to save to Excel, PDF or print.

Alternatively : Resort to `FREE Quandl API` to query a list of your specified data over a defined time period. This could be done in putting all the data into a `financial time series object` in Matlab for instance, compute the return on those data and use `min()` or `max()` to retrieve the best/worst performing asset.

PS: It takes a little bit more time to program than using Bloomberg `EQS` function, but it also worth doing it.

Let's know if you need further assistance on this.

Best,

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.